Federal Register / Vol. 88, No. 162 / Wednesday, August 23, 2023 / Notices 57481 

1 15 U.S.C. 78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4The Exchange previously filed to amend the Fee 

Schedule on July 31, 2023 (SR–NYSEAMER–2023– 

38) and withdrew such filing on August 8, 2023. 

In addition, this notice lists the 

organizational unit(s) accumulating the 

records or states that the schedule has 

agency-wide applicability. It also 

provides the control number assigned to 

each schedule, which you will need if 

you submit comments on that schedule. 

We have uploaded the records 

schedules and accompanying appraisal 

memoranda to the regulations.gov 

docket for this notice as ‘‘other’’ 

documents. Each records schedule 

contains a full description of the records 

at the file unit level as well as their 

proposed disposition. The appraisal 

memorandum for the schedule includes 

information about the records. 

We will post comments, including 

any personal information and 

attachments, to the public docket 

unchanged. Because comments are 

public, you are responsible for ensuring 

that you do not include any confidential 

or other information that you or a third 

party may not wish to be publicly 

posted. If you want to submit a 

comment with confidential information 

or cannot otherwise use the 

regulations.gov portal, you may contact 

request.schedule@nara.gov for 

instructions on submitting your 

comment. 

We will consider all comments 

submitted by the posted deadline and 

consult as needed with the Federal 

agency seeking the disposition 

authority. After considering comments, 

we may or may not make changes to the 

proposed records schedule. The 

schedule is then sent for final approval 

by the Archivist of the United States. 

After the schedule is approved, we will 

post on regulations.gov a ‘‘Consolidated 

Reply’’ summarizing the comments, 

responding to them, and noting any 

changes we made to the proposed 

schedule. You may elect at 

regulations.gov to receive updates on 

the docket, including an alert when we 

post the Consolidated Reply, whether or 

not you submit a comment. If you have 

a question, you can submit it as a 

comment, and can also submit any 

concerns or comments you would have 

to a possible response to the question. 

We will address these items in 

consolidated replies along with any 

other comments submitted on that 

schedule. 

We will post schedules on our 

website in the Records Control Schedule 

(RCS) Repository, at https://

www.archives.gov/records-mgmt/rcs, 

after the Archivist approves them. The 

RCS contains all schedules approved 

since 1973. 

Background 

Each year, Federal agencies create 

billions of records. To control this 

accumulation, agency records managers 

prepare schedules proposing retention 

periods for records and submit these 

schedules for NARA’s approval. Once 

approved by NARA, records schedules 

provide mandatory instructions on what 

happens to records when no longer 

needed for current Government 

business. The records schedules 

authorize agencies to preserve records of 

continuing value in the National 

Archives or to destroy, after a specified 

period, records lacking continuing 

administrative, legal, research, or other 

value. Some schedules are 

comprehensive and cover all the records 

of an agency or one of its major 

subdivisions. Most schedules, however, 

cover records of only one office or 

program or a few series of records. Many 

of these update previously approved 

schedules, and some include records 

proposed as permanent. 

Agencies may not destroy Federal 

records without the approval of the 

Archivist of the United States. The 

Archivist grants this approval only after 

thorough consideration of the records’ 

administrative use by the agency of 

origin, the rights of the Government and 

of private people directly affected by the 

Government’s activities, and whether or 

not the records have historical or other 

value. Public review and comment on 

these records schedules is part of the 

Archivist’s consideration process. 

Schedules Pending 

1. Department of Justice, Executive 

Office for Immigration Review, Charging 

Document Bond Files (DAA–0582– 

2023–0001). 

Laurence Brewer, 

Chief Records Officer for the U.S. 

Government. 

[FR Doc. 2023–18101 Filed 8–22–23; 8:45 am] 

BILLING CODE 7515–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98159; File No. SR– 

NYSEAMER–2023–40] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Change To Modify the NYSE American 

Options Fee Schedule 

August 17, 2023. 

Pursuant to section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on August 

8, 2023, NYSE American LLC (‘‘NYSE 

American’’ or ‘‘Exchange’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the selfregulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to modify the 

NYSE American Options Fee Schedule 

(‘‘Fee Schedule’’) regarding Floor Broker 

incentives and the Strategy Execution 

Fee Cap. The Exchange proposes to 

implement the fee changes effective 

August 8, 2023.4 The proposed rule 

change is available on the Exchange’s 

website at www.nyse.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this filing to amend 

the Fee Schedule to (1) delete text 

relating to the expired Floor Broker 

Grow With Me Program and add a new 

Floor Broker incentive, and (2) add 

dividend strategies to the list of strategy 

executions eligible for the Strategy 

Execution Fee Cap (the ‘‘Strategy Cap’’). 

The Exchange proposes to implement 

the rule changes on August 8, 2023. 


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57482 Federal Register / Vol. 88, No. 162 / Wednesday, August 23, 2023 / Notices 

5For example, a Floor Broker that executes an 

average daily volume of 100,000 manual billable 

contracts would be eligible for the ($0.07) rebate but 

would not also earn the ($0.05) rebate. 

6See Fee Schedule, Section I.J., Strategy 

Execution Fee Cap. 

7See, e.g., BOX Options Fee Schedule, Section 

V.D. (Strategy QOO Order Fee Cap and Rebate), 

available at: https://boxexchange.com/assets/BOXFee-Schedule-as-of-July-3-2023.pdf (providing for 

daily cap on manual transaction fees for dividend 

strategies); Nasdaq PHLX LLC Options 7, Section 4, 

available at: https://listingcenter.nasdaq.com/ 

rulebook/phlx/rules/Phlx%20Options%207 

(providing for daily cap on fees for dividend 

strategies). 

8 15 U.S.C. 78f(b). 

9 15 U.S.C. 78f(b)(4) and (5). 

10See Securities Exchange Act Release No. 51808 

(June 9, 2005), 70 FR 37496, 37499 (June 29, 2005) 

(S7–10–04) (‘‘Reg NMS Adopting Release’’). 

11The OCC publishes options and futures volume 

in a variety of formats, including daily and monthly 

volume by exchange, available here: https:// 

www.theocc.com/Market-Data/Market-DataReports/Volume-and-Open-Interest/MonthlyWeekly-Volume-Statistics. 

12Based on a compilation of OCC data for 

monthly volume of equity-based options and 

monthly volume of ETF-based options, see id., the 

Exchange’s market share in equity-based options 

decreased from 7.43% for the month of June 2022 

to 6.57% for the month of June 2023. 

Floor Broker Incentives 

The Exchange proposes to modify 

Section III.E.2. of the Fee Schedule to 

delete text providing for the Floor 

Broker Grow With Me Program (the 

‘‘Grow With Me Program’’), which 

expired on July 31, 2023, and to 

introduce the Floor Broker Manual 

Billable Incentive Program (the ‘‘Manual 

Billable Incentive Program’’). The 

Exchange proposes that Floor Brokers 

would be eligible for rebates on manual 

billable volume through the Manual 

Billable Incentive Program by achieving 

certain qualifying levels of average daily 

manual billable contracts. Specifically, a 

Floor Broker would earn a rebate of 

($0.05) per manual billable side by 

executing an average daily volume of 

40,000 manual billable contracts; a 

rebate of ($0.07) per manual billable 

side by executing an average daily 

volume of 100,000 manual billable 

contracts; or a rebate of ($0.09) per 

manual billable side by executing an 

average daily volume of 150,000 manual 

billable contracts. Rebates available 

through the Manual Billable Incentive 

Program would be payable back to the 

first contract, and Floor Brokers would 

earn the highest rebate for which they 

qualify.5 The Exchange believes that the 

proposed qualifications for rebates 

available through the Manual Billable 

Incentive Program are reasonable and 

attainable by Floor Brokers based on 

their recent manual billable volume. 

Although the Exchange cannot predict 

with certainty whether the proposed 

change would encourage Floor Brokers 

to increase their manual billable 

volume, the proposed change is 

designed to continue to incentivize 

Floor Brokers to do so by offering 

rebates on manual billable volume. All 

Floor Brokers would be eligible to earn 

a rebate through the Manual Billable 

Incentive Program, as proposed. 

Strategy Cap 

Currently, the Strategy Cap provides 

for a $1,000 cap on transaction fees for 

strategy executions involving (a) 

reversals and conversions, (b) box 

spreads, (c) short stock interest spreads, 

(d) merger spreads, and (e) jelly rolls.6

The Strategy Cap applies to each 

strategy execution executed in standard 

option contracts on the same trading 

day. In addition, the cap is reduced to 

$200 on transactions fees for qualifying 

strategies traded on the same trading 

day for those ATP Holders that trade at 

least 25,000 monthly billable contract 

sides in qualifying strategy executions. 

The Exchange now proposes to 

modify Section I.J. of the Fee Schedule 

to add dividend strategies as item (f) in 

the list of strategy executions eligible for 

the Strategy Cap (and to make nonsubstantive conforming changes to 

include an item (f) in such list). The 

Exchange also proposes that dividend 

strategies would be included among the 

strategies that contribute to an ATP 

Holder’s qualification for the lower cap 

of $200. Finally, the Exchange proposes 

to add new subparagraph (f) to Section 

I.J. of the Fee Schedule to define a 

dividend strategy as transactions done 

to achieve a dividend arbitrage 

involving the purchase, sale, and 

exercise of in-the-money options of the 

same class, executed the first business 

day prior to the date on which the 

underlying stock goes ex-dividend. 

The Exchange notes that other options 

exchanges currently offer caps on fees 

for dividend strategy executions.7

Although the Exchange cannot predict 

with certainty whether the proposed 

change would encourage ATP Holders 

to increase their dividend strategy 

executions, the proposed change is 

intended to encourage additional 

dividend strategy executions on the 

Exchange by including them in the 

strategies eligible for the Strategy Cap 

(including the lower cap for qualifying 

ATP Holders). 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

section 6(b) of the Act,8 in general, and 

furthers the objectives of sections 6(b)(4) 

and (5) of the Act,9 in particular, 

because it provides for the equitable 

allocation of reasonable dues, fees, and 

other charges among its members, 

issuers and other persons using its 

facilities and does not unfairly 

discriminate between customers, 

issuers, brokers or dealers. 

The Proposed Rule Change Is 

Reasonable 

The Exchange operates in a highly 

competitive market. The Commission 

has repeatedly expressed its preference 

for competition over regulatory 

intervention in determining prices, 

products, and services in the securities 

markets. In Regulation NMS, the 

Commission highlighted the importance 

of market forces in determining prices 

and SRO revenues and, also, recognized 

that current regulation of the market 

system ‘‘has been remarkably successful 

in promoting market competition in its 

broader forms that are most important to 

investors and listed companies.’’ 10

There are currently 16 registered 

options exchanges competing for order 

flow. Based on publicly-available 

information, and excluding index-based 

options, no single exchange has more 

than 16% of the market share of 

executed volume of multiply-listed 

equity and ETF options trades.11

Therefore, no exchange possesses 

significant pricing power in the 

execution of multiply-listed equity and 

ETF options order flow. More 

specifically, in June 2023, the Exchange 

had less than 7% market share of 

executed volume of multiply-listed 

equity and ETF options trades.12

The Exchange believes that the evershifting market share among the 

exchanges from month to month 

demonstrates that market participants 

can shift order flow, or discontinue or 

reduce use of certain categories of 

products, in response to fee changes. 

Accordingly, competitive forces 

constrain options exchange transaction 

fees. Stated otherwise, changes to 

exchange transaction fees can have a 

direct effect on the ability of an 

exchange to compete for order flow. 

The Exchange believes the proposed 

deletion of the language describing the 

Grow With Me Program is reasonable 

because the program has expired, and 

the deletion would thus improve the 

clarity of the Fee Schedule and reduce 

confusion as to the fees and credits that 

are currently in effect. The Exchange 

also believes that the removal of 

obsolete text from the Fee Schedule 

would further the protection of 

investors and the public interest by 

promoting clarity and transparency in 

the Fee Schedule and making the Fee 


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Federal Register / Vol. 88, No. 162 / Wednesday, August 23, 2023 / Notices 57483 

13See note 7, supra. 

Schedule easier to navigate and 

understand. 

The Exchange believes that the 

proposed Manual Billable Incentive 

Program is reasonable because it is 

designed to continue to incent Floor 

Brokers to increase their manual billable 

volume executed on the Exchange. The 

Exchange also believes that the 

proposed change is reasonable because 

the proposed volume thresholds to 

qualify for the rebates are attainable 

based on recent manual billable volume 

executed by Floor Brokers, and the 

proposed rebates would be available to 

all Floor Brokers. 

The Exchange believes the proposed 

modification of the Strategy Cap is 

reasonable because it is designed to 

encourage ATP Holders to increase their 

dividend strategies executed on the 

Exchange by including dividend 

strategies among the strategy executions 

eligible for the Strategy Cap. The 

Exchange also believes the proposed 

change could incent ATP Holders to 

execute and aggregate dividend strategy 

orders as well as other types of strategy 

orders at NYSE American as a primary 

execution venue. 

To the extent that the proposed 

changes attract greater volume and 

liquidity, the Exchange believes they 

would improve the Exchange’s overall 

competitiveness, strengthen its market 

quality for all market participants, and 

continue to make the Exchange a more 

competitive venue for order execution, 

which, in turn, promotes just and 

equitable principles of trade and 

removes impediments to and perfects 

the mechanism of a free and open 

market and a national market system. 

The Exchange notes that all market 

participants stand to benefit from any 

increase in volume, which could 

promote market depth, facilitate tighter 

spreads, and enhance price discovery, 

particularly to the extent the proposed 

change encourages market participants 

to utilize the Exchange as a primary 

trading venue, and may lead to a 

corresponding increase in order flow 

from other market participants. 

In addition, in the backdrop of the 

competitive environment in which the 

Exchange operates, the proposed rule 

change is a reasonable attempt by the 

Exchange to increase the depth of its 

market and improve its market share 

relative to its competitors. The 

Exchange’s fees are constrained by 

intermarket competition, as ATP 

Holders may direct their order flow to 

any of the 16 options exchanges, 

including those that also offer caps on 

dividend strategies.13 Thus, ATP 

Holders have a choice of where they 

direct their order flow, including their 

strategy executions. The proposed rule 

change is designed to incent ATP 

Holders to direct liquidity to the 

Exchange, thereby promoting market 

depth and enhancing order execution 

opportunities for market participants. 

The Proposed Rule Change Is an 

Equitable Allocation of Fees and Credits 

The Exchange believes the proposed 

rule change is an equitable allocation of 

its fees and credits. The proposed 

deletion of language relating to the 

expired Grow With Me Program would 

eliminate text from the Fee Schedule no 

longer applicable to any Floor Brokers, 

thus impacting all similarly situated 

Floor Brokers on an equal basis and 

improving the clarity of the Fee 

Schedule to the benefit of all market 

participants. The proposed Manual 

Billable Incentive Program is equitable 

because it is based on the amount and 

type of business transacted on the 

Exchange; Floor Brokers can choose to 

execute manual billable volume to earn 

rebates through the program or not. In 

addition, the rebates offered through the 

Manual Billable Incentive Program 

would be available to all qualifying 

Floor Brokers equally. The Exchange 

further believes that the proposed 

change is equitable because it is 

intended to encourage the role 

performed by Floor Brokers in 

facilitating the execution of orders via 

open outcry, a function which the 

Exchange wishes to support for the 

benefit of all market participants. To the 

extent the proposed change continues to 

encourage increased liquidity on the 

Exchange, all market participants would 

benefit from enhanced opportunities for 

price improvement and order execution. 

The Exchange also believes that the 

proposed change to the Strategy Cap is 

an equitable allocation of fees and 

credits because it is based on the 

amount and type of business transacted 

on the Exchange, and ATP Holders can 

opt to avail themselves of the Strategy 

Cap or not. The modified Strategy Cap, 

as proposed, would continue to be 

available to all ATP Holders that direct 

strategy executions, including dividend 

strategies, to the Exchange. Moreover, 

the proposal is designed to continue to 

encourage ATP Holders to aggregate 

strategy executions at the Exchange as a 

primary execution venue. To the extent 

that the proposed change attracts more 

dividend strategies to the Exchange, this 

increased order flow would continue to 

make the Exchange a more competitive 

venue for order execution. Thus, the 

Exchange believes the proposed rule 

change would improve market quality 

for all market participants on the 

Exchange and, as a consequence, attract 

more order flow to the Exchange, 

thereby improving marked-wide quality 

and price discovery. 

The Proposed Rule Change Is Not 

Unfairly Discriminatory 

The Exchange believes the proposed 

rule change is not unfairly 

discriminatory. The proposed 

elimination of text describing the 

expired Grow With Me Program would 

affect all Floor Brokers on an equal and 

non-discriminatory basis, as the 

program would no longer be available to 

any Floor Brokers. The Exchange 

believes that the proposed Manual 

Billable Incentive Program is not 

unfairly discriminatory because all 

Floor Brokers are eligible to qualify for 

the rebates offered through the program. 

Moreover, the proposed change is not 

unfairly discriminatory to non-Floor 

Brokers because Floor Brokers serve an 

important function in facilitating the 

execution of orders on the Exchange, 

which the Exchange wishes to 

encourage and support to promote price 

improvement opportunities for all 

market participants. 

The Exchange also believes the 

proposed change is not unfairly 

discriminatory because the proposed 

modification of the Strategy Cap would 

apply to all similarly-situated market 

participants on an equal and nondiscriminatory basis. The proposal is 

based on the amount and type of 

business transacted on the Exchange, 

and ATP Holders are not obligated to try 

to achieve the Strategy Cap, nor are they 

obligated to execute any dividend 

strategies. Rather, the proposal is 

designed to encourage ATP Holders to 

increase their dividend strategy 

executions and to utilize the Exchange 

as a primary trading venue for all 

strategy executions (if they have not 

done so previously). 

Thus, the Exchange believes that, to 

the extent the proposed rule change 

would continue to improve market 

quality for all market participants on the 

Exchange by attracting more order flow 

to the Exchange, thereby improving 

market-wide quality and price 

discovery, the resulting increased 

volume and liquidity would provide 

more trading opportunities and tighter 

spreads to all market participants and 

thus would promote just and equitable 

principles of trade, remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, protect investors and the public 

interest. 


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57484 Federal Register / Vol. 88, No. 162 / Wednesday, August 23, 2023 / Notices 

14See Reg NMS Adopting Release, supra note 10, 

at 37499. 

15See note 11, supra. 

16See note 12, supra. 

17See note 7, supra. 18 15 U.S.C. 78s(b)(3)(A). 

Finally, the Exchange believes that it 

is subject to significant competitive 

forces, as described below in the 

Exchange’s statement regarding the 

burden on competition. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

In accordance with section 6(b)(8) of 

the Act, the Exchange does not believe 

that the proposed rule change would 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

Instead, as discussed above, the 

Exchange believes that the proposed 

changes would encourage the 

submission of additional liquidity to a 

public exchange, thereby promoting 

market depth, price discovery and 

transparency and enhancing order 

execution opportunities for all market 

participants. As a result, the Exchange 

believes that the proposed change 

furthers the Commission’s goal in 

adopting Regulation NMS of fostering 

integrated competition among orders, 

which promotes ‘‘more efficient pricing 

of individual stocks for all types of 

orders, large and small.’’ 14

Intramarket Competition. The 

Exchange does not believe that the 

proposed changes would impose any 

burden on intramarket competition that 

is not necessary or appropriate. The 

proposed changes are designed to attract 

order flow to the Exchange. The 

proposed Manual Billable Incentive 

Program is intended to attract additional 

order flow to the Exchange by offering 

Floor Brokers rebates on manual billable 

volume, which could increase the 

volume of contracts traded on the 

Exchange. The proposed modification of 

the Strategy Cap to include dividend 

strategies is intended to attract 

additional dividend strategies to the 

Exchange and could also encourage ATP 

Holders to aggregate all strategy 

executions on the Exchange to qualify 

for the Strategy Cap. Greater liquidity 

benefits all market participants on the 

Exchange, and increased manual 

billable transactions and strategy 

executions could increase opportunities 

for execution of other trading interest. 

Finally, the proposed deletion of 

language relating to the Grow With Me 

Program would remove language from 

the Fee Schedule no longer applicable 

to any Floor Brokers and, accordingly, 

would not have any impact on 

intramarket competition. 

Intermarket Competition. The 

Exchange operates in a highly 

competitive market in which market 

participants can readily favor one of the 

16 competing option exchanges if they 

deem fee levels at a particular venue to 

be excessive. In such an environment, 

the Exchange must continually adjust its 

fees to remain competitive with other 

exchanges and to attract order flow to 

the Exchange. Based on publiclyavailable information, and excluding 

index-based options, no single exchange 

has more than 16% of the market share 

of executed volume of multiply-listed 

equity and ETF options trades.15

Therefore, no exchange possesses 

significant pricing power in the 

execution of multiply-listed equity and 

ETF options order flow. More 

specifically, in June 2023, the Exchange 

had less than 8% market share of 

executed volume of multiply-listed 

equity and ETF options trades.16

The Exchange believes that the 

proposed rule change reflects this 

competitive environment because it 

modifies the Exchange’s fees and credits 

in a manner designed to continue to 

incent additional manual billable 

volume and dividend strategy volume to 

the Exchange, to provide liquidity, and 

to attract order flow. To the extent the 

proposed changes encourage Floor 

Brokers and other market participants to 

utilize the Exchange as a primary 

trading venue for all transactions, all of 

the Exchange’s market participants 

should benefit from the improved 

market quality and increased 

opportunities for price improvement. 

The Exchange also believes that the 

proposed change could promote 

competition between the Exchange and 

other execution venues, as other 

competing options exchanges currently 

offer fee caps for dividend strategies.17

Finally, the Exchange believes that 

deleting text describing the Grow With 

Me Program would add clarity to the 

Fee Schedule by removing expired 

pricing and, accordingly, would not 

have any impact on intermarket 

competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective upon filing pursuant to section 

19(b)(3)(A) 18 of the Act and paragraph 

(f) thereunder. At any time within 60 

days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

NYSEAMER–2023–40 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–NYSEAMER–2023–40. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549 on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 


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Federal Register / Vol. 88, No. 162 / Wednesday, August 23, 2023 / Notices 57485 

19 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Amendment No. 1 made clarifications and 

corrections to the description of the proposed rule 

change and Exhibit 3a of the filing (Summary of 

Impact Study) to incorporate a longer impact 

analysis. As originally filed, the time-period of the 

impact analysis was November 2021 to October 

2022. As amended by Amendment No. 1, the timeperiod of the impact analysis is November 2021 to 

March 2023. These clarifications and corrections 

have been incorporated, as appropriate, into the 

description of the proposed rule change in Item II 

below. FICC has requested confidential treatment of 

Exhibit 3a, pursuant to 17 CFR 240.24b–2. 

4Terms not defined herein are defined in the GSD 

Rules, available at www.dtcc.com/∼/media/Files/ 

Downloads/legal/rules/ficc_gov_rules.pdf. 5 GSD also clears and settles certain transactions 

on securities issued or guaranteed by U.S. 

government agencies and government sponsored 

enterprises. 6See GSD Rule 4 (Clearing Fund and Loss 

Allocation), supra note 4. FICC’s market risk 

management strategy is designed to comply with 

Rule 17Ad–22(e)(4) under the Act, where these 

risks are referred to as ‘‘credit risks.’’ 17 CFR 

240.17Ad–22(e)(4). 

7The GSD Rules identify when FICC may cease 

to act for a Member and the types of actions FICC 

may take. For example, FICC may suspend a firm’s 

membership with FICC or prohibit or limit a 

Member’s access to FICC’s services in the event that 

Member defaults on a financial or other obligation 

to FICC. See GSD Rule 21 (Restrictions on Access 

to Services) of the GSD Rules, supra note 4. 

8The Model Risk Management Framework 

(‘‘Model Risk Management Framework’’) sets forth 

the model risk management practices of FICC and 

states that Value at Risk (‘‘VaR’’) and Clearing Fund 

requirement coverage backtesting would be 

performed on a daily basis or more frequently. See 

Securities Exchange Act Release Nos. 81485 (Aug. 

25, 2017), 82 FR 41433 (Aug. 31, 2017) (SR–FICC– 

2017–014), 84458 (Oct. 19, 2018), 83 FR 53925 (Oct. 

25, 2018) (SR–FICC–2018–010), 88911 (May 20, 

2020), 85 FR 31828 (May 27, 2020) (SR–FICC–2020– 

004), 92380 (Jul. 13, 2021), 86 FR 38140 (Jul. 19, 

2021) (SR–FICC–2021–006), 94271 (Feb. 17, 2022), 

87 FR 10411 (Feb. 24, 2022) (SR–FICC–2022–001), 

and 97890 (Jul. 13, 2023), 88 FR 46287 (Jul. 19, 

2023) (SR–FICC–2023–008). 

9Members may be required to post additional 

collateral to the GSD Clearing Fund in addition to 

their Required Fund Deposit amount. See e.g., 

Section 7 of GSD Rule 3 (Ongoing Membership 

Requirements), supra note 4 (providing that 

adequate assurances of financial responsibility of a 

member may be required, such as increased 

Clearing Fund deposits). For backtesting 

comparisons, FICC uses the Required Fund Deposit 

amount, without regard to the actual, total collateral 

posted by the member to the GSD Clearing Fund. 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–NYSEAMER–2023–40 and should 

be submitted on or before September 13, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–18105 Filed 8–22–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98160; File No. SR–FICC– 

2023–011] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation; Notice of 

Filing of Proposed Rule Change, as 

Modified by Amendment No. 1, To 

Adopt a Portfolio Differential Charge 

as an Additional Component to the 

Government Securities Division 

Required Fund Deposit 

August 17, 2023. 

Pursuant to section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder,2

notice is hereby given that on August 3, 

2023, Fixed Income Clearing 

Corporation (‘‘FICC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) proposed rule change 

SR–FICC–2023–011. On August 16, 

2023, FICC filed Amendment No. 1 to 

the proposed rule change, to make 

clarifications and corrections to the 

proposed rule change.3 The proposed 

rule change, as modified by Amendment 

No. 1, is described in Items I, II and III 

below, which Items have been prepared 

by the clearing agency. The Commission 

is publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The proposed rule change consists of 

modifications to FICC’s Government 

Securities Division (‘‘GSD’’) Rulebook 

(‘‘Rules’’) in order to adopt a Portfolio 

Differential Charge (‘‘PD Charge’’) as an 

additional component to the GSD 

Required Fund Deposit, as described in 

greater detail below.4

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, the 

clearing agency included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

clearing agency has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of such statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

1. Purpose 

FICC is proposing to enhance the 

methodology for calculating Required 

Fund Deposit to the GSD Clearing Fund 

by adopting a new component, the PD 

Charge, which would be calculated to 

mitigate the risk presented to FICC by 

period-over-period fluctuations in a 

Member’s Margin Portfolio(s) that may 

occur between the collections of 

Member’s Required Fund Deposits. 

Background 

FICC, through GSD, serves as a central 

counterparty and provider of clearance 

and settlement services for the U.S. 

Treasury securities, as well as 

repurchase and reverse repurchase 

transactions involving U.S. Treasury 

securities.5 As part of its market risk 

management strategy, FICC manages its 

credit exposure to Members by 

determining the appropriate Required 

Fund Deposit to the GSD Clearing Fund 

and monitoring its sufficiency, as 

provided for in the GSD Rules.6 The 

Required Fund Deposit serves as each 

Member’s margin. 

The objective of a Member’s margin is 

to mitigate potential losses to FICC 

associated with liquidating a Member’s 

portfolio in the event FICC ceases to act 

for that Member (hereinafter referred to 

as a ‘‘default’’).7 The aggregate amount 

of all Members’ margin constitutes the 

GSD Clearing Fund. FICC would access 

the GSD Clearing Fund should a 

defaulting Member’s own margin be 

insufficient to satisfy losses to FICC 

caused by the liquidation of that 

Member’s portfolio. Each Member’s 

Required Fund Deposit is calculated at 

least twice daily at the start-of-day and 

noon on each Business Day. 

FICC regularly assesses market and 

liquidity risks as such risks relate to its 

margin methodologies to evaluate 

whether margin levels are 

commensurate with the particular risk 

attributes of each relevant product, 

portfolio, and market. For example, 

FICC employs daily backtesting to 

determine the adequacy of each 

Member’s Required Fund Deposit.8

FICC compares the Required Fund 

Deposit 9 for each Member with the 

simulated liquidation gains/losses, 

using the actual positions in the 

Member’s portfolio(s) and the actual 

historical security returns. A backtesting 

deficiency occurs when a Member’s 

Required Fund Deposit would not have 

been adequate to cover the projected 

liquidation losses estimated from a 

Member’s settlement activity based on 


lotter on DSK11XQN23PROD with NOTICES1